Have Lamp/Light automatically rotate towards an object or the 3D cursor
You can't track to the 3D cursor but can easily track the lamp to an object via the Track To constraint.

Select the Hemi lamp and add the Track To constraint as follows :



Here I've set the Target to an Empty. Note that the To is set to '-Z' and Up is set to X (but could just as easily been Y - it must not be set to the same axis as To otherwise the constraint is invalid and will not work).

Moving the Empty will now automatically orient the lamp to point to the Empty. This will work equally well for Sun, Spot, and Area lamps but is obviously not generally relevant for Point lamps (since they don't have direction). 

It is unfortunately not possible to automatically point the lamp to the 3D cursor (except, perhaps using a python handler) but this shouldn't be necessary as it's a simple case to move the Empty to the 3D cursor via the Snap-To menu (Shift-S, Selection to Cursor).